Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.5773 |
| Annualized Std Dev | 0.6264 |
| Annualized Sharpe (Rf=0%) | -0.9216 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3083.0000 |
| NAs | 1.0000 |
| Minimum | -0.3204 |
| Quartile 1 | -0.0214 |
| Median | -0.0037 |
| Arithmetic Mean | -0.0026 |
| Geometric Mean | -0.0034 |
| Quartile 3 | 0.0140 |
| Maximum | 0.3257 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0040 |
| UCL Mean (0.95) | -0.0012 |
| Variance | 0.0016 |
| Stdev | 0.0395 |
| Skewness | 0.1550 |
| Kurtosis | 7.8066 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0272 |
| Gain Deviation | 0.0311 |
| Loss Deviation | 0.0276 |
| Downside Deviation (MAR=210%) | 0.0331 |
| Downside Deviation (Rf=0%) | 0.0285 |
| Downside Deviation (0%) | 0.0285 |
| Maximum Drawdown | 1.0000 |
| Historical VaR (95%) | -0.0594 |
| Historical ES (95%) | -0.0917 |
| Modified VaR (95%) | -0.0596 |
| Modified ES (95%) | -0.0749 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-03-10 | 2021-02-12 | NA | -1.0000 | 3030 | 3005 | NA |
| 2009-01-21 | 2009-02-09 | 2009-03-06 | -0.3750 | 32 | 14 | 18 |
| 2008-12-30 | 2009-01-06 | 2009-01-20 | -0.2878 | 14 | 5 | 9 |
| 2008-12-19 | 2008-12-19 | 2008-12-22 | -0.0292 | 2 | 1 | 1 |
| 2008-12-24 | 2008-12-26 | 2008-12-29 | -0.0163 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3 | -3 |
| 2009 | 8.5 | 0.5 | -7.4 | -2.1 | -9.9 | -1.5 | 0.4 | 6.2 | 8.3 | 8.3 | -4.2 | 2.8 | 8.1 |
| 2010 | -4.6 | -4.6 | -0.1 | 6.1 | 3.7 | 0.9 | 1.4 | -7.9 | 0.3 | -0.7 | -6.7 | 0.6 | -12 |
| 2011 | -5.5 | 5.3 | 0.9 | -0.4 | 6.5 | -4.9 | 0.7 | 3.3 | 8.2 | 8.2 | -2 | 0.7 | 21.6 |
| 2012 | -3.2 | -1.9 | 0.9 | -0.9 | 8.3 | -9 | 0.8 | -2.5 | 0.6 | -4.9 | 0.5 | -5.8 | -16.6 |
| 2013 | -3.5 | -0.2 | 2.2 | 2.2 | 3 | -1.9 | -3.4 | 1.5 | -2.4 | -0.3 | -1.2 | -2.1 | -6.4 |
| 2014 | -0.6 | 0.3 | -3.5 | -0.2 | -0.5 | -3.3 | 0.6 | -1.6 | 4.6 | -4.6 | 3.2 | 3.3 | -2.8 |
| 2015 | 3.9 | 1 | 1.6 | -3.6 | -0.6 | -1.8 | 0.6 | 9.4 | 0.1 | 1.7 | -2.6 | 4.2 | 14.1 |
| 2016 | -1.3 | -8.5 | -2.4 | 2.3 | 0.8 | -0.8 | -0.7 | -0.8 | -1.5 | 2.4 | 6.3 | 2.5 | -2.2 |
| 2017 | -1.8 | -4.1 | 0.3 | -2.2 | -0.7 | 0.3 | -1.3 | 0.2 | -2 | -0.1 | 1.5 | 1.5 | -8.3 |
| 2018 | 0 | 4.6 | -6.3 | -4 | -5.1 | 0.4 | -2.5 | -0.3 | -1.4 | -3.6 | -2.8 | -2.9 | -21.9 |
| 2019 | -1.7 | -2.1 | -4.2 | 0.9 | 4.9 | -4.5 | 1.7 | 0.2 | 2.6 | -3.5 | 0.9 | -1 | -6.1 |
| 2020 | 8.4 | -2.6 | 13.1 | 8.7 | 0.2 | -0.7 | -7.4 | -5.9 | -3.3 | 6.6 | -3.6 | -0.5 | 11.3 |
| 2021 | -7.5 | -9.4 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -15.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-12-17 305050 SPY 91.0 -0.0097 0.0098 0.0646 -0.242 -0.376 -0.286 -0.159 GLD 85.4 0.0115 0.0712
2 2008-12-18 336850 SPY 89.3 -0.0187 0.0154 0.0254 -0.281 -0.388 -0.293 -0.177 GLD 83.9 -0.0183 0.0399
3 2008-12-19 327000 SPY 88.2 -0.0043 -0.0009 0.0909 -0.267 -0.394 -0.293 -0.190 GLD 82.6 -0.0148 0.0225
4 2008-12-22 351800 SPY 87.1 -0.0128 -0.0079 0.154 -0.266 -0.412 -0.308 -0.201 GLD 83.5 0.01 0.0104
5 2008-12-23 357800 SPY 86.2 -0.0103 -0.0623 0.0835 -0.276 -0.423 -0.316 -0.214 GLD 82.6 -0.0099 -0.0217
6 2008-12-24 356100 SPY 86.7 0.00580 -0.0476 0.0192 -0.283 -0.420 -0.316 -0.210 GLD 83.5 0.01 -0.0231
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
